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glassoFast: a Fast Graphical LASSO
This package propose a fast implementation of the graphical LASSO of Friedman et al. 2008 based on the algorithm (and FORTRAN subroutine) of Sustik and Calderhead (2012). This algorithm also avoid non-termination issues observed for the “glasso” function of the R package glasso.
glassoFast 1.0.1
You can install it directly from gitHub through devtools:
library(devtools)
install_github("JClavel/glassoFast")
(Note that you may also need to install Rtools to compile the C and FORTRAN codes included in the package. For [Windows] (https://cran.r-project.org/bin/windows/Rtools/) and for [Mac] (http://r.research.att.com) (and [Tools] (https://r.research.att.com/tools/). See also “gcc” and “gfortran” websites)
Any bugs encountered when using the package can be reported here
Friedman J., Hastie T., Tibshirani R. 2008. Sparse inverse covariance estimation with the graphical lasso. Biostatistics. 9:432-441.
Sustik M.A., Calderhead B. 2012. GLASSOFAST: An efficient GLASSO implementation. UTCS Technical Report TR-12-29:1-3.
The original source code was taken from the now broken link: http://www.cs.utexas.edu/users/sustik/glassofast/
These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.